發(fā)布時(shí)間：2018-01-07 07:44

  本文關(guān)鍵詞：中國(guó)短期國(guó)際資本流動(dòng)動(dòng)因研究　出處：《北京交通大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 短期國(guó)際資本流動(dòng) 利差 人民幣升值預(yù)期 股市收益率 TVP-VAR

【摘要】：隨著全球經(jīng)濟(jì)、金融一體化的不斷發(fā)展,資本在全球范圍內(nèi)的流動(dòng)變得愈發(fā)頻繁,科技的發(fā)展使得資本可以在短時(shí)間內(nèi)實(shí)現(xiàn)跨境轉(zhuǎn)移,逐漸表現(xiàn)出短期化的特征。近年來(lái),隨著美聯(lián)儲(chǔ)退出量化寬松政策,開(kāi)啟加息周期,人民幣面臨貶值壓力,我國(guó)資本出現(xiàn)明顯外流,其中不乏大量短期國(guó)際資本的流出。短期國(guó)際資本大進(jìn)大出,會(huì)對(duì)一國(guó)經(jīng)濟(jì)的穩(wěn)定發(fā)展造成嚴(yán)重的負(fù)面影響。在此背景下,探討我國(guó)短期國(guó)際資本流動(dòng)的驅(qū)動(dòng)因素具有十分重要的價(jià)值。本文以短期國(guó)際資本的經(jīng)典動(dòng)因理論為基礎(chǔ),借鑒國(guó)內(nèi)外學(xué)者研究成果,選取利率市場(chǎng)、匯率市場(chǎng)、股票市場(chǎng)、房地產(chǎn)市場(chǎng)、避險(xiǎn)情緒、經(jīng)濟(jì)增長(zhǎng)率以及制度政策作為主要研究方向,從中選取合適的指標(biāo),以所選指標(biāo)2003.1-2016.8期間的月度數(shù)據(jù)作為樣本數(shù)據(jù),對(duì)數(shù)據(jù)進(jìn)行初步分析之后,采用計(jì)量分析的方法進(jìn)行實(shí)證研究,通過(guò)向量自回歸(VAR)模型和時(shí)變參數(shù)向量自回歸(TVP-VAR)模型,結(jié)合我國(guó)現(xiàn)實(shí)情況,探討影響我國(guó)短期國(guó)際資本流動(dòng)的主要因素。研究結(jié)論:通過(guò)VAR模型進(jìn)行實(shí)證,得出人民幣升值預(yù)期、中美利差、股市收益率是影響我國(guó)短期國(guó)際資本流動(dòng)的主要因素,其中,方差分解結(jié)果顯示人民幣升值預(yù)期的解釋程度最高,是最主要的影響因素。之后,選取中美利差、人民幣升值預(yù)期和股市收益率作為主要指標(biāo),構(gòu)建包含四個(gè)變量的TVP-VAR模型。實(shí)證結(jié)果說(shuō)明人民幣升值預(yù)期對(duì)短期國(guó)際資本的影響存在明顯的時(shí)變特征,而中美利差和股市收益率指標(biāo)存在時(shí)變效應(yīng),但不明顯。美國(guó)退出量化寬松政策對(duì)我國(guó)短期國(guó)際資本流動(dòng)產(chǎn)生了明顯的影響,放大了短期國(guó)際資本對(duì)于所選指標(biāo)的脈沖響應(yīng)程度。未來(lái),開(kāi)放是大勢(shì)所趨,短期資本進(jìn)出我國(guó)的障礙將會(huì)逐漸減少。資本賬戶開(kāi)放應(yīng)遵循循序漸進(jìn)的原則,開(kāi)放進(jìn)程不宜過(guò)快,應(yīng)逐步降低資本管制程度,努力完善宏觀審慎視角下的短期資本的管理工作,增強(qiáng)宏觀經(jīng)濟(jì)政策和管理工具的協(xié)調(diào)配合,防范短期國(guó)際資本對(duì)我國(guó)經(jīng)濟(jì)金融體系的沖擊。
[Abstract]:With the continuous development of global economic and financial integration, the flow of capital in the global scope has become increasingly frequent, the development of science and technology that can realize the cross-border transfer of capital in a short period of time, gradually showing the characteristics of short-term. In recent years, with the Fed's exit quantitative easing, opening the RMB interest rate hike cycle, downward pressure. China's capital outflow appeared, including a large number of short-term international capital outflows. The short-term international capital in great quantities, will cause serious negative impact on the stable development of the economy of a country. Under this background, it has very important value to explore the driving factors of the short-term international capital flows of China. This paper is based on the classical theory reason of short-term international capital, research of scholars at home and abroad, choose the interest rate market, the exchange rate market, stock market, real estate market, hedge sentiment, economic growth rate System and policy as the main research direction, selecting the appropriate index in the selected index during 2003.1-2016.8 monthly data as the sample data, after a preliminary analysis of the data, using quantitative analysis method of empirical research, through vector autoregressive (VAR) model and time-varying parameter vector autoregressive (TVP-VAR) model. According to the practical situation of our country, explore the main factors influencing the short-term international capital flows of China. The empirical research conclusion: through the VAR model, the expectation of RMB appreciation, interest rate, stock market returns are the main factors that affect China's short-term international capital flows, the variance decomposition results show that the RMB appreciation is expected to explain the highest level it is the main factor. After the selection of Sino US spreads, RMB appreciation and the stock market yield as the main index, the construction contains four variables TVP-VAR Model. The empirical results show that the effect of the RMB appreciation on short-term international capital has obvious time-varying characteristics, while the U.S. interest rate and stock market yield index time-varying effect, but not obvious. The United States withdraw from the quantitative easing policy impact significantly on China's short-term international capital flows, short-term international capital for pulse amplification the response degree of selected indicators. The future is open, short-term capital in China represent the general trend, import barriers will be reduced gradually. The opening of the capital account should follow the principle of gradual opening process, should not be too fast, should gradually reduce the degree of capital control, efforts to improve the macro Prudential perspective of short-term capital management, strengthen macroeconomic policy coordination and management tools, to prevent the impact of short-term international capital to China's economic and financial system.

【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.6

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